Thanks to this mailing list post I now have a 'Bash here' option in my windows explorer context menu for folders and drives. Simply add this registry script to the windows registry.
Thanks to my self and this little script, I can open a 'windows explorer window here' from within cygwin.
#! /bin/bash PWD=`pwd` PATH=`cygpath -w $PWD` /cygdrive/c/WINDOWS/explorer.exe $PATH